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EFAX vs. XLE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between EFAX and XLE is 0.42, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.4

Performance

EFAX vs. XLE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) and Energy Select Sector SPDR Fund (XLE). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-1.59%
-4.93%
EFAX
XLE

Key characteristics

Sharpe Ratio

EFAX:

0.52

XLE:

0.11

Sortino Ratio

EFAX:

0.79

XLE:

0.26

Omega Ratio

EFAX:

1.10

XLE:

1.03

Calmar Ratio

EFAX:

0.70

XLE:

0.13

Martin Ratio

EFAX:

1.93

XLE:

0.31

Ulcer Index

EFAX:

3.47%

XLE:

6.09%

Daily Std Dev

EFAX:

12.97%

XLE:

17.88%

Max Drawdown

EFAX:

-32.53%

XLE:

-71.54%

Current Drawdown

EFAX:

-9.57%

XLE:

-13.69%

Returns By Period

In the year-to-date period, EFAX achieves a 4.16% return, which is significantly higher than XLE's 2.59% return.


EFAX

YTD

4.16%

1M

-0.97%

6M

-1.60%

1Y

5.07%

5Y*

4.50%

10Y*

N/A

XLE

YTD

2.59%

1M

-11.98%

6M

-5.48%

1Y

1.91%

5Y*

11.76%

10Y*

4.47%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


EFAX vs. XLE - Expense Ratio Comparison

EFAX has a 0.20% expense ratio, which is higher than XLE's 0.13% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


EFAX
SPDR MSCI EAFE Fossil Fuel Free ETF
Expense ratio chart for EFAX: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for XLE: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Risk-Adjusted Performance

EFAX vs. XLE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) and Energy Select Sector SPDR Fund (XLE). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for EFAX, currently valued at 0.52, compared to the broader market0.002.004.000.520.11
The chart of Sortino ratio for EFAX, currently valued at 0.79, compared to the broader market-2.000.002.004.006.008.0010.000.790.26
The chart of Omega ratio for EFAX, currently valued at 1.10, compared to the broader market0.501.001.502.002.503.001.101.03
The chart of Calmar ratio for EFAX, currently valued at 0.70, compared to the broader market0.005.0010.0015.000.700.13
The chart of Martin ratio for EFAX, currently valued at 1.93, compared to the broader market0.0020.0040.0060.0080.00100.001.930.31
EFAX
XLE

The current EFAX Sharpe Ratio is 0.52, which is higher than the XLE Sharpe Ratio of 0.11. The chart below compares the historical Sharpe Ratios of EFAX and XLE, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.52
0.11
EFAX
XLE

Dividends

EFAX vs. XLE - Dividend Comparison

EFAX's dividend yield for the trailing twelve months is around 2.76%, more than XLE's 2.59% yield.


TTM20232022202120202019201820172016201520142013
EFAX
SPDR MSCI EAFE Fossil Fuel Free ETF
2.76%2.71%2.81%2.58%1.69%2.71%3.05%2.89%0.26%0.00%0.00%0.00%
XLE
Energy Select Sector SPDR Fund
2.59%3.55%3.68%4.21%5.62%5.73%3.54%3.03%2.26%3.39%2.35%1.73%

Drawdowns

EFAX vs. XLE - Drawdown Comparison

The maximum EFAX drawdown since its inception was -32.53%, smaller than the maximum XLE drawdown of -71.54%. Use the drawdown chart below to compare losses from any high point for EFAX and XLE. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.57%
-13.69%
EFAX
XLE

Volatility

EFAX vs. XLE - Volatility Comparison

The current volatility for SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) is 3.60%, while Energy Select Sector SPDR Fund (XLE) has a volatility of 4.94%. This indicates that EFAX experiences smaller price fluctuations and is considered to be less risky than XLE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
3.60%
4.94%
EFAX
XLE
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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